To quote Wikipedia:

In computer science, a programming
language is said to support
first-class functions (or function
literal) if it treats functions as
first-class objects. Specifically,
this means that the language supports
constructing new functions during the
execution of a program, storing them
in data structures, passing them as
arguments to other functions, and
returning them as the values of other
functions.

This page also illustrates it beautifully:

Really, just like any other variable

• A function is an instance of the Object type


• A function can have properties and has a link back to its constructor method


• You can store the function in a variable


• You can pass the function as a parameter to another function


• You can return the function from a function

also read TrayMan's comment, interesting...